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Title
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Stability of central finite difference schemes on non-uniform grids for 1D partial differential equations with variable coefficients
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Author
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Abstract
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| This paper deals with stability in the numerical solution of general one-dimensional partial differential equations with variable coefficients. We will generalize stability results for central finite difference schemes on non-uniform grids that were obtained by In't Hout & Volders (2009) for the Black-Scholes equation. Subsequently we will apply our stability results to the CEV model. |
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Language
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English
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Source (journal)
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AIP conference proceedings / American Institute of Physics. - New York
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Publication
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New York
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2010
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ISSN
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0094-243X
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DOI
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10.1063/1.3498327
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Volume/pages
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1281
(2010)
, p. 1991-1994
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ISI
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000289661501156
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Full text (Publisher's DOI)
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Full text (open access)
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